With the 05+:

You can shift between 4hi and 2wd on the fly (under 60 (or so) MPH). There is nothing special you have to do beside turn the knob. Some times it will take until you stop to come out of 4wd as you have to relieve the stress on the gears before they can change.

To change into 4Lo. Come to a complete stop with the foot on the brake. Place the vehicle in Neutral (not park), switch into 4Lo. Put vehicle into drive (or one of the lower gears depending on the situation) and start driving.

To get it out of 4Lo, you have to do the same steps. Stop, foot on brake, knob to 4hi or 2wd, put vehicle in gear...drive way. Just like before, someone times it does take a short while to disengage.